Mnemosyne can use any custom data directory.

For Linux and Mac OS X, just use the -d option at the command line:
mnemsosyne -d /foo/bar

For Windows, open a command prompt (Start-> All Programs-> Accessories-> System-> Command Prompt) and type:
"C:\Program Files\Mnemosyne\Mnemosyne.exe" -d your_custom_data_dir Alternatively, you can create a shortcut on your desktop, right-click it, choose "Properties" and under "Target" add the -d argument.